文章基本信息

标题：Restricted likelihood ratio testing in linear mixed models with general error covariance structure
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作者：Andrea Wiencierz ; Sonja Greven ; Helmut Küchenhoff 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2011
卷号：5
页码：1718-1734
DOI：10.1214/11-EJS654
语种：English
出版社：Institute of Mathematical Statistics
摘要：We consider the problem of testing for zero variance components in linear mixed models with correlated or heteroscedastic errors. In the case of independent and identically distributed errors, a valid test exists, which is based on the exact finite sample distribution of the restricted likelihood ratio test statistic under the null hypothesis. We propose to make use of a transformation to derive the (approximate) null distribution for the restricted likelihood ratio test statistic in the case of a general error covariance structure. The method can also be applied in the case of testing for a random effect in linear mixed models with several random effects by writing the model as one with a single random effect and a more complex covariance structure. The proposed test proves its value in simulations and is finally applied to an interesting question in the field of well-being economics.
关键词：Linear mixed model;penalized splines;likeli hood ratio test;correlated errors;generalized least squares;SOEP data, subjective well-being